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The Minimal Entropy Martingale Measure (MEMM) for a Markov-Modulated Exponential Lévy Model
Momeya, Romuald; Salah, Zied - In: Asia-Pacific Financial Markets 19 (2012) 1, pp. 63-98
Persistent link: https://www.econbiz.de/10010866374
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Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes
Poirot, Jérémy; Tankov, Peter - In: Asia-Pacific Financial Markets 13 (2006) 4, pp. 327-344
Persistent link: https://www.econbiz.de/10005075679
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Lévy processes driven by stochastic volatility
Chourdakis, Kyriakos - In: Asia-Pacific Financial Markets 12 (2005) 4, pp. 333-352
Persistent link: https://www.econbiz.de/10005727038
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What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?
Akahori, Jirô; Tsuchiya, Takahiro - In: Asia-Pacific Financial Markets 13 (2006) 4, pp. 299-313
Persistent link: https://www.econbiz.de/10005727077